Hyun Jin Jang

Ulsan National Institute of Science and Technology (UNIST)

gil 50

Ulsan, 689-798

Korea, Republic of (South Korea)

  • Ulsan National Institute of Science and Technology (UNIST)

SCHOLARLY PAPERS

5

DOWNLOADS

697

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (5)

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1.

The kth Default Time Distribution and Basket Default Swap Pricing

Number of pages: 19 Posted: 16 Apr 2009 Last Revised: 21 Apr 2009
Geon Ho Choe and Hyun Jin Jang
KAIST Business School and Ulsan National Institute of Science and Technology (UNIST)
Downloads 232 (210,982)
Citation 3

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Credit Derivatives, Credit Risk, Copulas, Credit Models, Monte Carlo Method

2.

Efficient Algorithms for Basket Default Swap Pricing with Multivariate Archimedean Copulas

Number of pages: 23 Posted: 04 Jun 2009
Geon Ho Choe and Hyun Jin Jang
KAIST Business School and Ulsan National Institute of Science and Technology (UNIST)
Downloads 165 (286,983)
Citation 3

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Credit risk, Archimedean copula, nested Archimedean copula, Basket default swap, Importance sampling

3.

Why Should We Invest in CoCos Than Stocks? An Optimal Growth Portfolio Approach

The European Journal of Finance
Number of pages: 27 Posted: 05 Feb 2019 Last Revised: 06 May 2020
Hyun Jin Jang, Longjie Jia and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), affiliation not provided to SSRN and Imperial College London - Mathematical Finance
Downloads 153 (305,714)

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Growth Portfolio Optimisation; Contingent Convertible Bond; Statistical Comparisons; Sensitivity Analysis

4.

Optimal Investment, Heterogeneous Consumption and Best Time for Retirement

Number of pages: 49 Posted: 14 Jun 2022
Hyun Jin Jang, Zuo Quan Xu and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), Hong Kong Polytechnic University and Imperial College London - Mathematical Finance
Downloads 80 (482,776)

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Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary

5.

Contingent Convertible Bonds with the Default Risk Premium

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 25 Jul 2018
Hyun Jin Jang, Young Hoon Na and Harry Zheng
Ulsan National Institute of Science and Technology (UNIST), Korea Advanced Institute of Science and Technology (KAIST) and Imperial College London - Mathematical Finance
Downloads 67 (532,528)

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Contingent Convertible Bond, Capital-ratio Trigger, Conversion Time, Equity-conversion CoCo, Post-conversion Risk Premium